河南科学
河南科學
하남과학
HENAN SCIENCE
2013年
8期
1294-1299
,共6页
VAR-BEKK-GARCH%房市%建筑建材板块%价格溢出效应%波动溢出效应
VAR-BEKK-GARCH%房市%建築建材闆塊%價格溢齣效應%波動溢齣效應
VAR-BEKK-GARCH%방시%건축건재판괴%개격일출효응%파동일출효응
VAR-BEKK-GARCH%house market%building materials sector%price spillover effect%volatility spillover effect
通过运用VAR-BEKK-GARCH模型对房市和建筑建材板块两者间的信息传导关系进行实证分析,发现了两者之间存在协整关系,即存在双向价格溢出效应,但短期内,它们彼此的冲击具有不对称性,主要是房市对建筑建材板块冲击比较明显。另外,两市之间存在着波动溢出效应,但是它们的条件相关系数具有不稳定性,反映了两市一体化程度比较低。
通過運用VAR-BEKK-GARCH模型對房市和建築建材闆塊兩者間的信息傳導關繫進行實證分析,髮現瞭兩者之間存在協整關繫,即存在雙嚮價格溢齣效應,但短期內,它們彼此的遲擊具有不對稱性,主要是房市對建築建材闆塊遲擊比較明顯。另外,兩市之間存在著波動溢齣效應,但是它們的條件相關繫數具有不穩定性,反映瞭兩市一體化程度比較低。
통과운용VAR-BEKK-GARCH모형대방시화건축건재판괴량자간적신식전도관계진행실증분석,발현료량자지간존재협정관계,즉존재쌍향개격일출효응,단단기내,타문피차적충격구유불대칭성,주요시방시대건축건재판괴충격비교명현。령외,량시지간존재착파동일출효응,단시타문적조건상관계수구유불은정성,반영료량시일체화정도비교저。
The information tra nsmission relationship between house market and building construction materials sector is analyzed through VAR-BEKK-GARCH model. The result shows that co-integration relationship exists between them,which means a two-way price spillover effects. But in the short term,the impact is asymmetry,since the impact from house plate on building materials sector is more noticeable. There is volatility spillover effect between the two sectors,however the correlation coefficient is not stable,which reflects the degree of integration is low.